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首页> 外文期刊>Review of Income and Wealth >HEDONIC IMPUTED PROPERTY PRICE INDEXES: THE EFFECTS OF ECONOMETRIC MODELING CHOICES
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HEDONIC IMPUTED PROPERTY PRICE INDEXES: THE EFFECTS OF ECONOMETRIC MODELING CHOICES

机译：享乐主义推定的房地产价格指数：经济模型选择的影响

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In this paper we consider how choices in the econometric approach to impute prices affect the Tornqvist and Jevons hedonic imputed indexes. We compare the rolling window approach to estimation by smoothing methods. The main difference between the rolling window and the smoothing methods is in the way information is weighted. We propose that the Kalman filter smoother is the most appropriate estimator for the task as it optimally weights current and past information. We show the rolling window approach does not produce estimates that are attenuated over time leading to chain drift in the index. We also compare two alternative specifications to model property location. The empirical section uses data from a small and homogeneous market in the state of Queensland, Australia. The Tornqvist and Jevons indexes differ in value during periods of market volatility. This seems expected given their different weighting of transactions and the likelihood that price movements of properties at the upper and lower end of the price distribution might differ during periods of market volatility.
机译：在本文中，我们考虑计量经济方法估算价格的选择如何影响Tornqvist和Jevons享乐主义估算指标。我们将滚动窗口方法与通过平滑方法进行的估计进行比较。滚动窗口和平滑方法之间的主要区别在于信息加权的方式。我们建议卡尔曼滤波平滑器是该任务的最合适估计器，因为它可以最佳地加权当前和过去的信息。我们显示出滚动窗口方法不会产生随时间衰减的估计，从而导致索引中的链漂移。我们还比较了两个替代规范来对属性位置进行建模。实证部分使用来自澳大利亚昆士兰州一个小型且同质市场的数据。在市场波动期间，Tornqvist和Jevons指数的价值有所不同。考虑到交易权重的不同以及在市场波动期间房地产价格在价格分布的上，下端的变化可能会有所不同，因此这似乎是预料之中的。

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